In the semifinal match, Real Madrid drew first blood as French forward Karim Benzema scored from the penalty spot in the 39th minute at King Fahd Stadium. Valencia's Samuel Lino scored the equalizer in the 46th minute.
A penalty shootout decided the winning team after regular time and extra time ended in a draw.
Real Madrid's Benzema, Luka Modric, Toni Kroos and Marco Asensio each converted their penalty kicks successfully. Edinson Cavani, Ilaix Moriba and Hugo Guillamon scored from the white spot for Valencia. But Eray Comert and Jose Gaya missed their penalties, causing Valencia to be eliminated from the competition.
Real Madrid will face either Real Betis or Barcelona in Sunday's final. Real Betis will play against Barcelona on Thursday evening. A neutral ground, King Fahd Stadium hosts the Spanish Super Cup final four.